Malignant pleural mesothelioma (MPM) is a locally aggressive disease related to asbestos exposure with a median survival for untreated patients of 4–8 months. The combination of chemotherapy based on platinum and antifolate is the standard treatment, and the addition of bevacizumab adds two months to median survival. Recently, in first-line treatment, immunotherapy combining nivolumab with ipilimumab has been shown to be superior to chemotherapy in the CheckMate-743 study in terms of overall survival (18.1 months), leading to its approval by the FDA and EMA. The positive results of this study represent a new standard of treatment for patients with MPM; however, not all patients will benefit from immunotherapy treatment. In an effort to improve the selection of patient candidates for immunotherapy for different tumors, biomarkers that have been associated with a greater possibility of response to treatment have been described. MPM is a type of tumor with low mutational load and neo-antigens, making it a relatively non-immunogenic tumor for T cells and possibly less susceptible to responding to immunotherapy. Different retrospective studies have shown that PD-L1 expression occurs in 20–40% of patients and is associated with a poor prognosis; however, the predictive value of PD-L1 in response to immunotherapy has not been confirmed. The purpose of this work is to review the state of the art of MPM treatment in the year 2023, focusing on the efficacy results of first-line or subsequent immunotherapy studies on patients with MPM and possible chemo-immunotherapy combination strategies. Additionally, potential biomarkers of response to immunotherapy will be reviewed, such as histology, PD-L1, lymphocyte populations, and TMB.